Squeeze

Modified on 2017/12/24 21:21 by Eugene — Categorized as: Community Indicators

Squeeze: Indicator Documentation

Syntax


DataSeries Squeeze( Bars bars, DataSeries ds, int period, double dev )

Parameter Description

bars	Bars object
ds	Data series
period	Lookback period
dev	Number of standard deviations for Bollinger Bands calculation

Description

From John F. Carter's book "Mastering The Trade". See his YouTube presentation.

Contractions like the Bollinger Bands inside the Keltner Bands reflect a market taking a break and consolidating, and is usually seen as a potential leading indicator of subsequent directional movement. A series of contractions may suggest to look for a BB expansion outside the KB which would be an entry signal. The longer the contraction, the stronger the potential breakout.
The entry should be made in the direction of the momentum. A positive momentum supports a long position, while a negative momentum supports a short position.
The exit should be made when momentum weakens.

Example

This example illustrates how to use the Squeeze indicator to build a trading strategy:


using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Indicators;

namespace WealthLab.Strategies
{
	public class SqueezeStrategy : WealthScript
	{
		protected override void Execute() 
		{ 
			PlotSeriesDualFillBand( PricePane, BBandUpper.Series( Close, 20, 2 ), 
				BBandLower.Series( Close, 20, 2 ), Color.Transparent, Color.Blue, Color.Blue, LineStyle.Solid, 2 );
			PlotSeriesDualFillBand( PricePane, KeltnerUpper.Series( Bars, 20, 20 ), 
				KeltnerLower.Series( Bars, 20, 20 ), Color.Transparent, Color.Black, Color.Black, LineStyle.Solid, 3 );
			
			Squeeze squeeze = Squeeze.Series( Bars, Close, 20, 2  ); 
			ChartPane SqueezePane = CreatePane( 30, true, true );			
			PlotSeries( SqueezePane, squeeze, Color.Blue, LineStyle.Histogram, 3 );

			for(int bar = 20; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					if( CumDown.Series( Momentum.Series( Close, 14 ), 1 )[bar] >= 1 )
						SellAtMarket( bar+1, LastPosition, "MomExit" ); 
				}
				else
				{
					if( squeeze[bar] < 0.00 )
						BuyAtMarket( bar+1 ); 
				}
			}
		}
	}
}